Model a simple 3D spiral shape?
Another procedual way is to simply enable the Add Curve: Extra Objects addon. It is used to generate many kinds of curves with various parameters, including spirals.

To enable it, CtrlAltU to open User Preferences window, then find and enable it under the Addons tab.



Then you can tweak feature like Bevel or Extrude in the curve's Object Data tab to bring depth for it.